Likelihood Geometry of Correlation Models

DOI10.4418/2021.76.2.16zbMath1493.62635arXiv2012.03903MaRDI QIDQ5030933

Carlos Améndola, Piotr Zwiernik

Publication date: 18 February 2022

Full work available at URL: https://arxiv.org/abs/2012.03903

zbMATH Keywords

maximum likelihoodcorrelation matrixlinear covariance model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Algebraic statistics (62R01)

Related Items (2)

Algebraic structures in statistical methodology. Abstracts from the workshop held December 4--10, 2022 ⋮ Logarithmic Voronoi cells for Gaussian models

Uses Software

• LinearCovarianceModels.jl

Cites Work

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• Longitudinal data analysis using generalized linear models
• Computing the nearest correlation matrix--a problem from finance
• The geometry of exponential families
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Estimating linear covariance models with numerical nonlinear algebra
• Maximum likelihood degree of the two-dimensional linear Gaussian covariance model
• Matrix Nearness Problems with Bregman Divergences
• Analytical inversion of symmetric tridiagonal matrices
• Maximum Likelihood Estimation for Linear Gaussian Covariance Models

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